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|a Determinants of the credit cycle
|b a flow analysis of the extensive margin
|c Vincenzo Cuciniello, Nicola di Iasio
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|a We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit ows or headcount of new borrowers. We then build on a ow approach to decompose changes in the net creation of borrowers into gross ows across three states: (i) borrowers, (ii) applicants and (iii) others (neither debtors nor applicants). The paper investigates the macroeconomic dimension of these gross ows and documents three key cyclical facts. First, entries in the credit market by new obligors ("inflows") account for the bulk of volatility in the net creation of borrowers. Second, the volatility of borrower in ows is two times as large as the volatility of obligors exiting from the credit market ("outflows"). Third, borrower in ows are highly pro-cyclical, lead the economic cycle, and their uctuations are mainly driven by the probability of getting a loan from new banks. We read these results in light of the macrofinance literature on search frictions and on competition with lender-lender informational asymmetries. Overall, our findings support theoretical predictions of these models, but search frictions seem to play a major role in shaping movements along the extensive margin.
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Cuciniello, Vincenzo, Di Iasio, Nicola |
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Cuciniello, Vincenzo, Di Iasio, Nicola |
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We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit ows or headcount of new borrowers. We then build on a ow approach to decompose changes in the net creation of borrowers into gross ows across three states: (i) borrowers, (ii) applicants and (iii) others (neither debtors nor applicants). The paper investigates the macroeconomic dimension of these gross ows and documents three key cyclical facts. First, entries in the credit market by new obligors ("inflows") account for the bulk of volatility in the net creation of borrowers. Second, the volatility of borrower in ows is two times as large as the volatility of obligors exiting from the credit market ("outflows"). Third, borrower in ows are highly pro-cyclical, lead the economic cycle, and their uctuations are mainly driven by the probability of getting a loan from new banks. We read these results in light of the macrofinance literature on search frictions and on competition with lender-lender informational asymmetries. Overall, our findings support theoretical predictions of these models, but search frictions seem to play a major role in shaping movements along the extensive margin. |
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Determinants of the credit cycle: a flow analysis of the extensive margin |
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Europäische Zentralbank, Working paper series, no 2445 (July 2020) |
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Cuciniello, Vincenzo VerfasserIn aut, Determinants of the credit cycle a flow analysis of the extensive margin Vincenzo Cuciniello, Nicola di Iasio, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 32 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2445 (July 2020), We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit ows or headcount of new borrowers. We then build on a ow approach to decompose changes in the net creation of borrowers into gross ows across three states: (i) borrowers, (ii) applicants and (iii) others (neither debtors nor applicants). The paper investigates the macroeconomic dimension of these gross ows and documents three key cyclical facts. First, entries in the credit market by new obligors ("inflows") account for the bulk of volatility in the net creation of borrowers. Second, the volatility of borrower in ows is two times as large as the volatility of obligors exiting from the credit market ("outflows"). Third, borrower in ows are highly pro-cyclical, lead the economic cycle, and their uctuations are mainly driven by the probability of getting a loan from new banks. We read these results in light of the macrofinance literature on search frictions and on competition with lender-lender informational asymmetries. Overall, our findings support theoretical predictions of these models, but search frictions seem to play a major role in shaping movements along the extensive margin., Di Iasio, Nicola VerfasserIn (DE-588)1208940929 (DE-627)1696066670 aut, Europäische Zentralbank Working paper series no 2445 (July 2020) 2445 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2445~6e86f7ca0c.en.pdf Verlag kostenfrei, https://doi.org/10.2866/259169 Resolving-System kostenfrei, http://hdl.handle.net/10419/229059 Resolving-System kostenfrei, https://doi.org/10.2866/259169 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2445~6e86f7ca0c.en.pdf LFER, LFER 2020-08-08T21:09:24Z |
| spellingShingle |
Cuciniello, Vincenzo, Di Iasio, Nicola, Determinants of the credit cycle: a flow analysis of the extensive margin, Europäische Zentralbank, Working paper series, no 2445 (July 2020), We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit ows or headcount of new borrowers. We then build on a ow approach to decompose changes in the net creation of borrowers into gross ows across three states: (i) borrowers, (ii) applicants and (iii) others (neither debtors nor applicants). The paper investigates the macroeconomic dimension of these gross ows and documents three key cyclical facts. First, entries in the credit market by new obligors ("inflows") account for the bulk of volatility in the net creation of borrowers. Second, the volatility of borrower in ows is two times as large as the volatility of obligors exiting from the credit market ("outflows"). Third, borrower in ows are highly pro-cyclical, lead the economic cycle, and their uctuations are mainly driven by the probability of getting a loan from new banks. We read these results in light of the macrofinance literature on search frictions and on competition with lender-lender informational asymmetries. Overall, our findings support theoretical predictions of these models, but search frictions seem to play a major role in shaping movements along the extensive margin. |
| title |
Determinants of the credit cycle: a flow analysis of the extensive margin |
| title_auth |
Determinants of the credit cycle a flow analysis of the extensive margin |
| title_full |
Determinants of the credit cycle a flow analysis of the extensive margin Vincenzo Cuciniello, Nicola di Iasio |
| title_fullStr |
Determinants of the credit cycle a flow analysis of the extensive margin Vincenzo Cuciniello, Nicola di Iasio |
| title_full_unstemmed |
Determinants of the credit cycle a flow analysis of the extensive margin Vincenzo Cuciniello, Nicola di Iasio |
| title_in_hierarchy |
no 2445 (July 2020). Determinants of the credit cycle: a flow analysis of the extensive margin ([2020]) |
| title_short |
Determinants of the credit cycle |
| title_sort |
determinants of the credit cycle a flow analysis of the extensive margin |
| title_sub |
a flow analysis of the extensive margin |
| url |
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2445~6e86f7ca0c.en.pdf, https://doi.org/10.2866/259169, http://hdl.handle.net/10419/229059 |
